Legolas says "He is here." Depending on who you ask, this could refer to Aragorn, the King of the Dead, or the Eye of Sauron in the Palantir. However, it does seem to be at Edoras again, which could be a pointer to Pippin's confrontation with Sauron in the Palantir.

It's all fun and games until the Eye of Sauron shows up.

'And with a piercing cry out of the dim sky fell the winged shadows, the Nazgul stooping to the kill'

A closeup shot of the Eye of Sauron, possibly as seen in the palantir.

It seems as though the Eye has gotten more and more clearly defined as the trilogy has gone on -- perhaps to show that Sauron is gaining in strength.

Gandalf and Pippin stand on the walls of Gondor and look towards the fires of Mordor.